Can particle object color and alpha be controlled by Particle Age (Blender Internal Render)?
The way I solved this was to give the particle object (not the emitter) a blend texture, mapped to the coordinates of an empty.

This way, the colour of the particle depends on the distance to the empty.

Example here: https://www.dropbox.com/s/il0aiq8a7gteelw/chimney.blend?dl=0